Statistical Inference and Efficient Portfolio Investment Performance

Shibo Liu, Tom Weyman-Jones and Karligash Glass
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Shibo Liu: School of Business and Economics, Loughborough University
Tom Weyman-Jones: School of Business and Economics, Loughborough University
Karligash Glass: School of Business and Economics, Loughborough University
Authors registered in the RePEc Author Service: Karligash Kenjegalieva ()

Discussion Paper Series from Department of Economics, Loughborough University

Abstract: The original Morey and Morey (1999) paper was the first to explicitly link the efficient theoretical frontier of the Markowitz portfolio balance model to the concept of the efficient empirical frontier in data envelopment analysis. The contribution of this paper is to extend the application of this linked research strategy to incorporate both sampling error addressed through bootstrapping and contextual explanation of the efficiency results through statistically robust second stage analysis. This paper first applies the procedures in Morey and Morey (1999) to a new modern data set comprising a multi-year sample of investment funds and then utilises Simar-Wilson (2008) bootstrapping algorithms to develop statistical inference and confidence intervals for the indexes of efficient investment fund performance. For the second stage analysis, robust-OLS regression, Tobit models and Papke-Wooldridge (PW) models are conducted and compared to evaluate contextual variables affecting the performance of investment funds.

Keywords: nonlinear-DEA; portfolios; bootstrapping; second stage DEA (search for similar items in EconPapers)
JEL-codes: C14 G1 G23 (search for similar items in EconPapers)
Date: 2015-01, Revised 2015-01
New Economics Papers: this item is included in nep-ecm and nep-eff
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